投资组合保险模型研究

发布时间：2018-01-02 02:18

本文关键词：投资组合保险模型研究　出处：《西南交通大学》2012年博士论文　论文类型：学位论文

【摘要】：投资组合保险是一类具有保险性质的投资组合方式。不仅能获得市场上升的收益,而且能避免市场下降的损失,因此受到风险厌恶者的欢迎。研究投资组合保险模型的保险机理,选择合适的评价准则,对于深刻理解和运用投资组合保险模型具有重要的意义。论文首先就投资组合保险模型的绩效评价进行研究。文章引入度量风险的VaR(风险价值)和ES(期望不足)作为绩效评价准则,二者均与分布的分位数有关,避免了传统评价准则方差、夏普比率等依赖于正态分布的局限。论文以VaR、ES和年均超额收益率、期末资产价值一起为评价准则,以中国证券市场数据作为投资组合保险中的风险资产,研究现有的投资组合保险模型OBPI、CPPI、TIPP的绩效。为避免历史路径只有一条的局限性,研究中采用Monte Carlo模拟方法。实证结果表明上述投资组合保险策略确实能规避下方风险,而且在市场上升时又不失去获利的机会。同时,实证研究中收益率的产生方式分别是通过t分布模拟产生和Block Bootstrap抽样方式产生,前一种方式中OBPI、CPPI、TIPP策略的绩效劣于CM和BH策略,而在Block Bootstrap抽样中则优于CM和BH策略。在考察OBPI模型局限性的基础上建立基于谱风险预算的投资组合保险模型。投资组合保险最早的模型是基于期权的OBPI模型。OBPI通过无风险资产与风险资产的组合复制期权实现保险,前提是风险资产的收益率服从对数正态分布,即价格服从几何布朗运动。但是实证表明,证券市场的信息不仅包括可以用布朗运动描述的正常变动,而且包括用跳跃描述的非正常变动,跳跃风险却不能通过无风险资产与风险资产复制期权而规避,因而基于期权的OBPI模型具有一定的局限性,不能实现完全的套期保值。积极管理风险的手段主要有两种：一种是套期保值,另一种是风险预算。OBPI模型属于前者。基于上述局限性本文考虑运用风险预算来管理风险。风险预算是投资组合管理的一种观点,主要是对风险进行管理而不是对收益率管理。论文中采用谱风险来度量风险,因为谱风险不仅是一致性风险测度,而且能将风险与人们的风险厌恶程度相联系,常用的VaR、ES都是它的特例。在谱风险测度的基础上,根据风险套补的思想建立谱风险预算投资组合保险模型。该模型的绩效与人们的风险厌恶程度相联系,不同的投资者可以根据自己的风险厌恶程度调整风险资产与无风险资产之间的比例,最终实现规避风险、保值增值的目标。投资组合保险的存在将对证券市场的收益率及其波动产生影响,论文通过一般均衡分析对其进行研究。首先在个体的寿命周期内,引入展望理论描述投资组合保险者的决策,他们以要保金额作为赢得或损失的参照点,然后对存在投资组合保险者与非投资组合保险者的市场进行分析,研究结果表明投资组合保险者的存在,将有效地降低市场波动率,从而降低风险溢价。
[Abstract]:Portfolio insurance is a kind of investment portfolio insurance with nature. Not only can get the benefits of rising market, but also can avoid the market drop, so by the risk averse welcome. The insurance mechanism of portfolio insurance model, select the appropriate evaluation criteria, for deep understanding and application has important significance of investment portfolio insurance model.
Study on the performance evaluation of the portfolio insurance model. This paper introduces a measure of risk VaR (value at risk) and ES (expected shortfall) as the performance evaluation criteria, two are related to distribution, to avoid the traditional evaluation criterion of variance, SHARP ratio dependent Yu Zheng distribution limitations. Based on VaR ES, and the average annual excess return rate, the final value of the assets together as the evaluation criterion, the China stock market data as portfolio insurance in risk assets, CPPI of OBPI, the existing portfolio insurance model, the performance of TIPP. In order to avoid the limitations of the historical path of only one, the research uses Monte Carlo simulation method. The empirical results show that the investment portfolio insurance strategy can avoid downside risk, but also in a rising market and not lose the opportunity to profit. At the same time, the rate of return in the empirical study It is generated by t distribution simulation and Block Bootstrap sampling. In the former way, the performance of OBPI, CPPI and TIPP strategy is inferior to CM and BH strategy, while Block Bootstrap sampling is better than CM and Block strategy.
The establishment of portfolio insurance model spectrum based on Risk Budgeting Based on investigating the limitations of the OBPI model. The model of portfolio insurance is one of the earliest.OBPI OBPI model of option by risk-free assets and risk assets portfolio replication options based on the realization of insurance, the premise is the rate of return of risk assets obeys the lognormal distribution, namely price follows the geometric Brown motion. However, empirical evidence shows that the stock market information includes not only the normal change can be described by the Brown movement, but also by jumping a description of the non normal change, but not the jump risk risk assets and risk assets and avoid the copy option, so the OBPI model based on option has certain limitations, to achieve complete hedging can not.
There are two main types of positive means of risk management: one is hedging, the other is a risk budget.OBPI model belongs to the former. The limitation of this paper consider the use of risk management risk based on risk budget. The budget is a point of view of portfolio management, mainly to manage risk management rather than rate on earnings. The spectral risk measure of risk in this paper, because the risk spectrum is not only consistent risk measure, but also can make the risk and risk averse people linked to common VaR, ES are the special cases of it. Based on the spectral risk measure, based on the spectrum of risk budget portfolio insurance risk model set up people thought. Performance and the model of the risk aversion linked to different investors according to their risk adjusted assets between risk aversion and risk free asset ratio, and ultimately To avoid risk and to keep the value added.
Portfolio insurance has affect the rate of return on the stock market and its fluctuation, the general equilibrium analysis on the research. First of all in the life cycle of the individual in the introduction of portfolio insurance theory to describe the prospect of decision makers, they to win or loss of the insured amount as a reference point, then the existence of portfolio insurance and non insurance investment portfolio of the market analysis, the results show that portfolio insurance exists, will effectively reduce the market volatility, thus reducing the risk premium.

【学位授予单位】：西南交通大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F832.48;F842.682

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